Bayesian estimation of incompletely observed diffusions
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Publication:5086440
DOI10.1080/17442508.2017.1381097zbMath1500.60051arXiv1606.04082OpenAlexW3104814836MaRDI QIDQ5086440
Moritz Schauer, Frank H. van der Meulen
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.04082
enlargement of filtrationdata augmentationMetropolis-Hastingsinnovation schemepartially observed diffusionguided proposalmultidimensional diffusion bridgefiltered bridgesmoothing diffusion processes
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